Delta Flight cancelled, no refund on the return leg

I booked a business class return from Heathrow to Chicago with delta, the outbound leg went as planned but on the return leg the weather disruption across the north east caused my flight to be cancelled, the replacement flight was the following day which got me back late, as I had flexible tickets that could be refunded. I cancelled the flight and booked a direct via United which could get me home on time.

Today I checked the status on cancelling the flight and now I’m told the return leg had 0 value as the outbound had concumed the cost of the flight. This feels ludicrous, especially for business.

Any help on compensation or next steps would be great